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Symphonies
Market Indicator: SPY v TLT
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily switch between US stocks (SPY) and long US Treasury bonds (TLT) using a 1‑week “heat” score (RSI). If stocks look hotter than bonds, hold bonds; otherwise hold stocks. Always fully in one fund, never both.
NutHow it works
Each day it scores recent moves for SPY (big US stocks) and TLT (long‑term US Treasury bonds) using a 0–100 “heat” gauge (5‑day RSI). If SPY’s score is higher than TLT’s, it buys TLT; otherwise it buys SPY. It owns the cooler one, aiming for a short‑term snap‑back. Always 100% in one, rebalanced daily.
CheckmarkValue prop
Out-of-sample, this 100% SPY/TLT rotation uses a 5-day RSI heat filter to target mean-reversion. It yields ~10.9% annualized return with ~16.9% max drawdown, Calmar 0.65, Sharpe 0.66—lower downside risk and solid risk-adjusted gains vs the S&P 500.

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Invest in this strategy
OOS Start Date
Nov 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, mean reversion, rsi(5), stock–bond rotation, daily rebalance, spy, tlt
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

"Market Indicator: SPY v TLT" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Market Indicator: SPY v TLT" is currently allocated toTLT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Market Indicator: SPY v TLT" has returned 10.90%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Market Indicator: SPY v TLT" is 16.89%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in "Market Indicator: SPY v TLT", simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, crypto, and options.